We've looked at Keynes' trading in equities (I'm pretty sure he traded on inside information)* and foreign exchange and briefly at his adventures in commodities. Here's a whole lot more, the book has 13 authors.
A quick word for folks new to commodities theory, don't confuse "normal backwardation" with backwardated markets.
From the Sapienza – Università di Roma via the Munich Personal RePEc Archive, Feb. 2, 2013:
TABLE OF CONTENTS
IntroductionMaria Cristina Marcuzzo
I. Keynes as speculation theorist and practical speculator
1. From speculation to regulation: Keynes and primary commodity marketsMaria Cristina Marcuzzo
2. Keynes’s activity on the cotton market and the theory of the ‘normal backwardation’: 1921-1929Carlo Cristiano and Nerio Naldi
3. Keynes’s speculation in the London tin market: 1921-1930Nicolò Cavalli and Carlo Cristiano
*In our April 2012 post titled "Keynes The Stock Market Investor" we see differing opinions on the trading-on-material-non-public-information question.4. An analysis of Keynes’s investments in the wheat futures markets: 1925-1935Tiziana Foresti and Eleonora Sanfilippo
...MUCH MUCH MORE (286 page PDF)
The Wall Street Journal's Jason Zweig who directed us to the Chambers, Dimson paper says:
...But, to paraphrase Keynes’s friend Bertrand Russell, it’s important to distinguish what you wish were true from what you believe is true.While here are Dimson/Chambers on the question, page 29 of the paper:
You may wish that Keynes traded on privileged information, but that doesn’t make it true. There is zero evidence that he ever traded on inside information; furthermore, as my column pointed out, Keynes’s investing performance improved when he stopped relying on his own macroeconomic forecasts....
...Was Keynes an insider? One difficulty in answering this question is that the investment community then did not have the same view of insider trading that we have today. Other than directors who owed fiduciary duties to their company not to trade on price-sensitive information, insider trading by investors in general was not subject to regulation until 1980 in the UK (Cheffins, 2008: 39–40).Not that there's anything wrong with the insider trading if that's what he did, I bring it up as a component of his alpha generation rather than for legal reasons.
It is certain that Keynes was in receipt of what today would be deemed price-sensitive information – he was, for example, aware of a change in the UK bank rate before it occurred in 1925 (Mini, 1995). However, it is impossible to discover how frequently and the extent to which he exploited such information in his trading. What we can say is that he would most certainly have regarded the exploitation of inside information as substantiating the view of stock trading as a “low pursuit” rather than a “game of skill” (CWK XII, 109)....
You can download Chambers, Dimson (2012) which is now the paper on Keynes, the Chest Fund and its equity investments at the SSRN link, above.
In 2009's "John Maynard Keynes: Money Manager (Couldn't Trade Lard to Save His Life)" I repeated a comment I had left at Clusterstock:
Neil,and we note:
Although Keynes ran King's College's Chest Fund 12-fold, £30,000 to £380,000, '27-'45,
the record is decidedly mixed.
Drawdowns of 32.4% and 24.6% in '30 and '31 exceeded the losses in the London market and had the fund at 1/2 it's 1927 value.
1932's 44.8% and '33's 35.1% return's were coincident with and subsequent to, Britain's departure from the gold standard.
As an economic adviser to the government Keynes was well aware of the coming devaluation.
Although King's hasn't opened all the trading records, there is strong evidence to suggest that Keynes was trading on inside information.
Some things never change.
...In a 1983 paper "J.M. Keynes' Investment Performance: A Note" the authors are dubious of his performance, without casting the aspersion that I do in my comment. They on the other hand have a great tidbit:One final note, Jazon Zweig is pretty knowledgeable about Keynes, and his views are not to be taken lightly.
...Investments in commodities were more substantial. The highest annual gain was for ₤17,000 from September 1936 to August 1937 and the highest annual loss, mainly in lard, for ₤12,600 in the following twelve months...
For some comments on the Keynes (attributed) quote "Markets can stay irrational..." see Mr. Zweig's MarketBeat post "Keynes: He Didn’t Say Half of What He Said. Or Did He?".
